AbstractThis study investigates whether socially responsible investing (SRI) portfolio performs better than the market indexes using the utility‐based nonparametric approach. The results from realized return distribution show that SRI portfolio outperforms the market indexes in term of almost stochastic dominance. The outperformance of SRI portfolio is robust to various robustness tests. Overall, our findings indicate that the SRI strategy indeed generates better performance. It is also suggested that past SRI ratings are valuable information for investors to incorporate socially responsible firms into their investment decision and yield a high return.